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Inflation, equity market volatility, and bond prices : evidence from G7 countries
Chen, Yu-Fen; Chiang, Thomas C.; Lin, Fu-Lai - In: Risks : open access journal 11 (2023) 11, pp. 1-22
This study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities … using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …
Persistent link: https://www.econbiz.de/10014436363
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Inflation risk and stock returns : evidence from US aggregate and sectoral markets
Chiang, Thomas C.; Chen, Pei-Ying - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014485580
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Can common stocks provide a hedge against inflation? : evidence from African countries
Alagidede, Paul; Panagiōtidēs, Theodōros - 2010
The extent to which the stock market provides a hedge to investors against inflation is examined for African stock … ; Inflation ; Fisher Effect ; African Stock Markets ; Cointegration …
Persistent link: https://www.econbiz.de/10008669932
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Can common stocks provide a hedge against inflation? : Evidence from African countries
Alagidede, Paul; Panagiōtidēs, Theodōros - In: Review of financial economics : RFE 19 (2010) 3, pp. 91-100
Persistent link: https://www.econbiz.de/10008652922
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10013072274
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Time Variation in Asset Price Responses to Macro Announcements
Goldberg, Linda S. - 2013
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10013076594
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Sovereign Default Risk and the US Equity Market
Jeanneret, Alexandre - 2018
This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...
Persistent link: https://www.econbiz.de/10012940553
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Forward-Looking Monetary Policy Rules and Option-Implied Interest Rate Expectations
Sihvonen, Jukka - 2015
changes in the expected inflation and output gaps and financial uncertainty …
Persistent link: https://www.econbiz.de/10013039005
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Interest Rates and Stock Movements in Three Major Asian Countries-India, China and Japan
Singh, Saurabh - 2010
significant relationship with macroeconomic forces viz. Interest Rate, Inflation Rate, Money Supply, Exchange Rate and Real Supply …
Persistent link: https://www.econbiz.de/10013146559